feat: Add funding rate history (#91)

* feat: add funding rate db objects and initial data * chore: add support sql quesries * chore: add funding rate repo * chore: add funding rate handling * test: add funding rate repo tests * feat: add funding yields over few tenors * fix: fix data insert in case table exists * fix: including services folder to build * fix: insertion of exchange id foreign key Co-authored-by: Sebastien Verreault <[email protected]>
GaloyMoney · Apr 26, 2022 · 76b93e6 · 76b93e6
1 parent f765828
commit 76b93e6
Show file tree

Hide file tree

Showing 27 changed files with 4,244 additions and 8 deletions.
diff --git a/dealer/migrations/20220408054021677_aggregate-mul-func.sql b/dealer/migrations/20220408054021677_aggregate-mul-func.sql
@@ -0,0 +1,5 @@
+-- Up Migration
+CREATE AGGREGATE mul(decimal) ( SFUNC = numeric_mul, STYPE=decimal );
+
+-- Down Migration
+DROP AGGREGATE IF EXISTS mul(decimal);
diff --git a/dealer/migrations/20220408065022794_exchanges.sql b/dealer/migrations/20220408065022794_exchanges.sql
@@ -0,0 +1,10 @@
+-- Up Migration
+CREATE TABLE "dealer"."exchanges" (
+  "id" serial PRIMARY KEY,
+  "exchange_name" varchar(64) NOT NULL UNIQUE,
+  "updated_timestamp" varchar(256) DEFAULT current_timestamp NOT NULL,
+  "created_timestamp" varchar(256) DEFAULT current_timestamp NOT NULL
+);
+
+-- Down Migration
+DROP TABLE IF EXISTS "dealer"."exchanges" CASCADE;
diff --git a/dealer/migrations/20220408065036915_init-exchanges.sql b/dealer/migrations/20220408065036915_init-exchanges.sql
@@ -0,0 +1,16 @@
+-- Up Migration
+INSERT INTO "dealer"."exchanges"
+("exchange_name")
+VALUES
+( 'bitmex' ),
+( 'okex' ),
+( 'deribit' ),
+( 'kraken' ),
+( 'ftx' ),
+( 'bitfinex' ),
+( 'binance' ),
+( 'bybit' ),
+( 'huobi' );
+
+-- Down Migration
+TRUNCATE TABLE "dealer"."exchanges";
diff --git a/dealer/migrations/20220408065042990_funding-rates.sql b/dealer/migrations/20220408065042990_funding-rates.sql
@@ -0,0 +1,23 @@
+-- Up Migration
+CREATE TABLE "dealer"."funding_rates" (
+  "id" serial PRIMARY KEY,
+
+  "timestamp" timestamptz NOT NULL,
+  "funding_time" bigint NOT NULL,
+  "instrument_id" varchar(64) NOT NULL,
+  "exchange_id" integer NOT NULL,
+
+  "funding_rate" DECIMAL NOT NULL,
+
+  "updated_timestamp" timestamptz DEFAULT current_timestamp NOT NULL,
+  "created_timestamp" timestamptz DEFAULT current_timestamp NOT NULL,
+
+  CONSTRAINT fk_exchange_id FOREIGN KEY(exchange_id)   REFERENCES dealer.exchanges(id)
+
+);
+CREATE INDEX "funding_rates_time_instrument_exchange_idx" ON "dealer"."funding_rates" ("funding_time", "instrument_id", "exchange_id");
+
+-- Down Migration
+DROP INDEX "dealer"."funding_rates_time_instrument_exchange_idx";
+DROP TABLE IF EXISTS "dealer"."funding_rates" CASCADE;
+
diff --git a/dealer/migrations/20220408065056920_init-funding-rates.sql b/dealer/migrations/20220408065056920_init-funding-rates.sql
diff --git a/dealer/src/Dealer.ts b/dealer/src/Dealer.ts
@@ -9,7 +9,10 @@ import {
   UpdatedPosition,
 } from "./HedgingStrategyTypes"
 import {
+  ExchangeNames,
   FundingFeesMetrics,
+  FundingRate,
+  FundingYieldMetrics,
   InFlightTransfer,
   TradingFeesMetrics,
   Transaction,
@@ -22,6 +25,7 @@ import { createHedgingStrategy } from "./HedgingStrategyFactory"
 import {
   FetchFundingAccountBalanceResult,
   GetAccountAndPositionRiskResult,
+  GetFundingRateHistoryParameters,
   GetTransactionHistoryParameters,
 } from "./ExchangeTradingType"
 import {
@@ -532,6 +536,48 @@ export class Dealer {
     return result.value
   }
 
+  public async getFundingYieldMetrics(): Promise<FundingYieldMetrics> {
+    const ret: FundingYieldMetrics = {
+      fundingYield1d: NaN,
+      fundingYield1W: NaN,
+      fundingYield2W: NaN,
+      fundingYield3W: NaN,
+      fundingYield1M: NaN,
+      fundingYield2M: NaN,
+      fundingYield3M: NaN,
+      fundingYield6M: NaN,
+      fundingYield1Y: NaN,
+      fundingYield2Y: NaN,
+      fundingYield3Y: NaN,
+      fundingYield5Y: NaN,
+    }
+    const tenors = [
+      { tenor: "1d", numberOfDays: 1 },
+      { tenor: "1W", numberOfDays: 7 },
+      { tenor: "2W", numberOfDays: 2 * 7 },
+      { tenor: "3W", numberOfDays: 3 * 7 },
+      { tenor: "1M", numberOfDays: 30 },
+      { tenor: "2M", numberOfDays: 2 * 30 },
+      { tenor: "3M", numberOfDays: 3 * 30 },
+      { tenor: "6M", numberOfDays: 6 * 30 },
+      { tenor: "1Y", numberOfDays: 365 },
+      { tenor: "2Y", numberOfDays: 2 * 365 },
+      { tenor: "3Y", numberOfDays: 3 * 365 },
+      { tenor: "5Y", numberOfDays: 5 * 365 },
+    ]
+    for (const tenor of tenors) {
+      const result = await database.fundingRates.getFundingYield(
+        ExchangeNames.Okex,
+        tenor.numberOfDays,
+      )
+      if (!result.ok) {
+        return ret
+      }
+      ret[`fundingYield${tenor.tenor}`] = Number(result.value)
+    }
+    return ret
+  }
+
   public async getFundingAccountBalance(): Promise<FetchFundingAccountBalanceResult> {
     const result = await this.strategy.getFundingAccountBalance()
     if (!result.ok) {
@@ -575,4 +621,36 @@ export class Dealer {
       await database.transactions.insert(transaction)
     }
   }
+
+  private async fetchFundingRateHistory(
+    args: GetFundingRateHistoryParameters,
+  ): Promise<FundingRate[]> {
+    const result = await this.strategy.fetchFundingRateHistory(args)
+    if (!result.ok) {
+      return []
+    }
+    return result.value
+  }
+
+  public async fetchAndLoadFundingRates() {
+    // get latest id we saved in db
+    let lastFundingTime
+    const result = await database.fundingRates.getLastFundingTime()
+    if (!result.ok) {
+      this.logger.error(
+        "Couldn't get last fundingTime from database, continuing with blank id...",
+      )
+    } else if (result.value) {
+      lastFundingTime = result.value
+    }
+
+    // fetch and insert fundingRates since last
+    const args: GetFundingRateHistoryParameters = {
+      beforeFundingTime: lastFundingTime,
+    }
+    const fundingRates = await this.fetchFundingRateHistory(args)
+    for (const fundingRate of fundingRates) {
+      await database.fundingRates.insert(fundingRate)
+    }
+  }
 }
diff --git a/dealer/src/ExchangeBase.ts b/dealer/src/ExchangeBase.ts
@@ -29,6 +29,8 @@ import {
   GetTransactionHistoryParameters,
   GetTransactionHistoryResult,
   FetchFundingAccountBalanceResult,
+  GetFundingRateHistoryParameters,
+  GetFundingRateHistoryResult,
 } from "./ExchangeTradingType"
 import { ErrorLevel, Result } from "./Result"
 import ccxt, { ExchangeId } from "ccxt"
@@ -709,4 +711,8 @@ export abstract class ExchangeBase {
   abstract fetchTransactionHistory(
     args: GetTransactionHistoryParameters,
   ): Promise<Result<GetTransactionHistoryResult>>
+
+  abstract fetchFundingRateHistory(
+    args: GetFundingRateHistoryParameters,
+  ): Promise<Result<GetFundingRateHistoryResult>>
 }
diff --git a/dealer/src/ExchangeTradingType.ts b/dealer/src/ExchangeTradingType.ts
@@ -1,5 +1,5 @@
 import { Params } from "ccxt"
-import { Transaction } from "./database/models"
+import { FundingRate, Transaction } from "./database/models"
 
 export enum TradeCurrency {
   BTC = "BTC",
@@ -102,6 +102,18 @@ export interface GetTransactionHistoryResult {
   transactions: Transaction[]
 }
 
+export interface GetFundingRateHistoryParameters {
+  instrumentId?: string
+  afterFundingTime?: number
+  beforeFundingTime?: number
+  limit?: number
+}
+
+export interface GetFundingRateHistoryResult {
+  originalResponseAsIs
+  fundingRates: FundingRate[]
+}
+
 export interface DepositOnLightningParameters {
   currency: TradeCurrency
   amountInSats: number

diff --git a/dealer/src/HedgingStrategyTypes.ts b/dealer/src/HedgingStrategyTypes.ts
@@ -1,8 +1,9 @@
-import { Transaction } from "./database/models"
+import { FundingRate, Transaction } from "./database/models"
 import {
   FetchFundingAccountBalanceResult,
   FetchTickerResult,
   GetAccountAndPositionRiskResult,
+  GetFundingRateHistoryParameters,
   GetTransactionHistoryParameters,
 } from "./ExchangeTradingType"
 import { Result } from "./Result"
@@ -56,6 +57,10 @@ export interface HedgingStrategy {
     args: GetTransactionHistoryParameters,
   ): Promise<Result<Transaction[]>>
 
+  fetchFundingRateHistory(
+    args: GetFundingRateHistoryParameters,
+  ): Promise<Result<FundingRate[]>>
+
   isDepositCompleted(address: string, amountInSats: number): Promise<Result<boolean>>
   isWithdrawalCompleted(address: string, amountInSats: number): Promise<Result<boolean>>
   updatePosition(